Valuation library for inflation-indexed bonds
Public Member Functions | Public Attributes | List of all members
AndrewKalotayAssociates::Common::Input::ParYieldCurve Struct Reference

#include "andrew_kalotay_associates/common/structs.h"

Public Member Functions

bool operator! () const

Public Attributes

long simple_business_day_convention
 Business day convention for settlement and maturity date of simple yield.
Daycount::type simple_daycount
 Daycount convention for simple yield.
Daycount::type par_daycount
 Daycount convention for par yield.
CalendarFrequency::type par_coupon_frequency
 Coupon frequency of par bonds.
Array< Yieldsimple_yields
Array< ForwardYieldforward_yields
Array< Yieldpar_yields

Detailed Description

Three types of yields:

Simple yield: Uncompounded single period yield, such as a Treasury bill yield or LIBOR rate

Forward yield: Simple yield with a forward settlement date

Par yield: Yield (coupon) of a par fixed coupon bond (i.e., price = 100)

The documentation for this struct was generated from the following file: